ForexBot2/pair_signals/eurusd.py

"""EUR/USD signal producer config.

Re-tuned 2026-07-10 against the realistic backtester (1-pip round-trip
cost, next-open fills, raw-path resolution) on 2025-07-08 → 2026-07-08
M5 with M15/H1 confirmations. RESULT: no configuration passed the
acceptance rule (positive in BOTH train and val halves, PF >= 1.3).

The M5 defaults below are the best found — roughly breakeven
(-1.1R / 53 trades / PF 0.93 / 62% WR on 12mo) versus the donor
branch's -6.7R. Findings that shaped them:
  - transitioning regime bled -27R/88 trades wide-open → blocked
  - A-grade entries LOSE (-26R) while B-grade wins — max conviction
    fires at move extremes (same pathology as gold M5)
  - Fridays (-17R) and hours 8, 12, 13, 18, 19 UTC negative
  - score 30-35 band is where the train-half losses live → floor 35
  - trailing exits beat static TP1 (arm 0.45R / dist 0.5R best)

M15 + H1 investigated 2026-07-11, verdict NO VALIDATED EDGE either
(all at 1-pip round-trip cost, real fills):
  - M15 wide-open (all gates off): -2.5R/270 trades 2025-26;
    -54.8R/308 trades on 2024-25 out-of-sample. PF 0.61-0.98.
  - Best in-sample slice (transitioning-regime-only: +15.4R, PF 1.59,
    positive both halves, month-spread) FAILED 2024-25 OOS at PF 0.55.
    Within-year train/val splits are not sufficient for EUR — always
    re-test on the 2024 window before believing a config.
  - Raw-parquet forward-return screens (M15 and M5, ~14 entry
    conditions x 4-5 horizons: momentum, mean-reversion, breakout,
    streak, session families): nothing clears +1 pip in both years.
  - H1 wide-open: +9.8R PF 1.32 in 2025-26 (both halves positive) but
    -5.7R PF 0.82 on 2024-25. Positive from Jan 2025 onward; H2-2024
    regime negative. Closest to workable, still unvalidated.

Root cause is cost-to-volatility: EUR M15 ATR ~= 10 pips, so the 1-pip
spread taxes every trade ~10% of ATR (M5 worse). The XAU signal engine
survives because gold's ATR/spread ratio is several times larger.

EUR/USD therefore ships FUNCTIONAL BUT OFF by default: it is not in
PlatformConfig.scan_pairs. Scan it on demand (main.py --pair EURUSD,
or add to scan_pairs) but treat all EUR M5/M15 signals as informational
only. Open avenues needing new data/infra: calendar-anchored entries
(requires a historical Forex Factory archive), limit-entry cost
reduction (needs tick data to model fills honestly), H4/D1 swing.
"""

from typing import Optional, List
from config import PlatformConfig, Timeframe, EURUSD

_CONFIRMATIONS = {
    Timeframe.M5:  [Timeframe.M15, Timeframe.H1],
    Timeframe.M15: [Timeframe.M5, Timeframe.H1],
    Timeframe.H1:  [Timeframe.M15, Timeframe.H4],
    Timeframe.H4:  [Timeframe.H1, Timeframe.D1],
}

_TRENDING = {
    "ema_trend": 2.0, "rsi": 1.0, "macd": 2.0,
    "bollinger": 0.5, "keltner": 1.0, "roc": 1.5,
    "candlestick": 0.5, "divergence": 2.0, "adx": 1.0,
}

EUR_REGIME_WEIGHTS = {
    "trending_up": _TRENDING,
    "trending_down": _TRENDING,
    "trending": _TRENDING,
    "ranging": {
        "ema_trend": 0.3, "rsi": 2.0, "macd": 1.0,
        "bollinger": 2.0, "keltner": 1.5, "roc": 0.5,
        "candlestick": 0.8, "divergence": 2.5, "adx": 0.5,
    },
    "transitioning": {
        "ema_trend": 1.5, "rsi": 1.5, "macd": 2.0,
        "bollinger": 1.0, "keltner": 1.5, "roc": 2.0,
        "candlestick": 0.8, "divergence": 2.0, "adx": 1.0,
    },
}

_M5_TRENDING = {
    "ema_trend": 1.5, "rsi": 1.0, "macd": 2.5,
    "bollinger": 0.5, "keltner": 2.0, "roc": 2.0,
    "candlestick": 0.3, "divergence": 1.0, "adx": 1.0,
}

M5_REGIME_WEIGHTS = {
    "trending_up": _M5_TRENDING,
    "trending_down": _M5_TRENDING,
    "trending": _M5_TRENDING,
    "ranging": {
        "ema_trend": 0.3, "rsi": 1.5, "macd": 1.5,
        "bollinger": 1.5, "keltner": 2.0, "roc": 1.0,
        "candlestick": 0.3, "divergence": 1.5, "adx": 0.5,
    },
    "transitioning": {
        "ema_trend": 1.0, "rsi": 1.0, "macd": 2.5,
        "bollinger": 0.5, "keltner": 2.5, "roc": 2.0,
        "candlestick": 0.3, "divergence": 1.0, "adx": 1.0,
    },
}


def make_config(
    primary_tf: Timeframe,
    confirmation_tfs: Optional[List[Timeframe]] = None,
) -> PlatformConfig:
    config = PlatformConfig()
    config.symbol = EURUSD
    config.display_name = "EUR/USD"
    config.pip_value = 0.0001
    config.primary_timeframe = primary_tf
    config.confirmation_timeframes = (
        confirmation_tfs or _CONFIRMATIONS.get(primary_tf, [Timeframe.M15, Timeframe.H4])
    )

    # XAU gates are display-gated in the aggregator; disabling here is
    # belt-and-braces so no gold logic can ever fire on an EUR config.
    config.xau_strategy.enabled = False

    config.backtest.session_start_hour = 7
    config.backtest.session_end_hour = 20
    config.backtest.blocked_hours_utc = [22, 23, 0, 1, 2, 3]
    config.backtest.allowed_weekdays = [0, 1, 2, 3, 4]

    if primary_tf == Timeframe.M5:
        config.technical.regime_weights_override = M5_REGIME_WEIGHTS
        config.technical.swing_sr_lookback = 20
        config.eur_strategy.sl_atr_floor = 0.7
        config.eur_strategy.sl_atr_multiplier = 0.3
        config.eur_strategy.min_quality_grades = ["A+", "A", "B"]
        # Best-found 2026-07-10 (breakeven, see module docstring):
        config.eur_strategy.min_entry_score = 35.0
        config.eur_strategy.min_entry_confidence = 45.0
        config.eur_strategy.blocked_vol_regimes = []
        config.eur_strategy.min_indicator_agreement = 0
        config.eur_strategy.allowed_weekdays = [0, 1, 2, 3]  # Fridays bled -17R
        config.backtest.allowed_weekdays = [0, 1, 2, 3]
        config.backtest.blocked_hours_utc = [22, 23, 0, 1, 2, 3, 8, 12, 13, 18, 19]
        # Trailing exit beat static TP1; earlier/tighter than gold's 0.6/0.75.
        config.signals.trail_arm_r = 0.45
        config.signals.trail_dist_r = 0.5
    else:
        config.technical.regime_weights_override = EUR_REGIME_WEIGHTS

    return config